G2TT
来源类型Discussion paper
规范类型论文
来源IDDP2578
DP2578 Basic Principles Of Asset Pricing Theory: Evidence From Large-Scale Experimental Financial Markets
Peter Bossaerts; Charles Plott
发表日期2000-10-24
出版年2000
语种英语
摘要This paper applies a full-information technique to test for the presence of contagion across the money markets of ERM members. We show that whenever it is possible to estimate a model for interdependence, a test for contagion based o a full information technique is more powerful. We test for the presence of contagion after having identified episodes of country-specific shocks, whose effect on other European markets is significantly different from those predictable from the estimated channels of interdependence. Using data on three-month interest rate spreads on German rates for seven countries over the period 1988?1992, we are unable to reject the null of contagion. Our evidence suggests that contagion within the ERM was a general phenomenon not limited to a subset of weaker countries, the exception in our sample being France. Our result are mute as to the question of what lies behind these episodes of contagion; they show, however, that it is not always that one only detects contagion when one applies poor statistical techniques.
主题International Macroeconomics
关键词Contagion Interdependence Erm
URLhttps://cepr.org/publications/dp2578
来源智库Centre for Economic Policy Research (United Kingdom)
资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/531647
推荐引用方式
GB/T 7714
Peter Bossaerts,Charles Plott. DP2578 Basic Principles Of Asset Pricing Theory: Evidence From Large-Scale Experimental Financial Markets. 2000.
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